BACKGROUND: Improving access to mental health data to accelerate research and improve mental health outcomes is a potentially achievable goal given the substantial data that can now be collected from mobile devices. Smartphones can provide a useful mechanism for collecting mental health data from young people, especially as their use is relatively ubiquitous in high-resource settings such as the United Kingdom and they have a high capacity to collect active and passive data. This raises the interesting opportunity to establish a large bank of mental health data from young people that could be accessed by researchers worldwide, but it is important to clarify how to ensure that this is done in an appropriate manner aligned with the values of young people. OBJECTIVE: In this study, we discussed the preferences of young people in the United Kingdom regarding the governance, sharing, and use of their mental health data with the establishment of a global data bank in mind. We aimed to determine whether young people want and feel safe to share their mental health data; if so, with whom; and their preferences in doing so. METHODS: Young people (N=46) were provided with 2 modules of educational material about data governance models and background in scientific research. We then conducted 2-hour web-based group sessions using a deliberative democracy methodology to reach a consensus where possible. Findings were analyzed using the framework method. RESULTS: Young people were generally enthusiastic about contributing data to mental health research. They believed that broader availability of mental health data could be used to discover what improves or worsens mental health and develop new services to support young people. However, this enthusiasm came with many concerns and caveats, including distributed control of access to ensure appropriate use, distributed power, and data management that included diverse representation and sufficient ethical training for applicants and data managers. CONCLUSIONS: Although it is feasible to use smartphones to collect mental health data from young people in the United Kingdom, it is essential to carefully consider the parameters of such a data bank. Addressing and embedding young people's preferences, including the need for robust procedures regarding how their data are managed, stored, and accessed, will set a solid foundation for establishing any global data bank.